majkee15 Goto Github PK

afml

All the answers for exercises from Advances in Financial Machine Learning by Dr Marco Lopez de Parodo.

arch

ARCH models in Python

awesome-systematic-trading

A curated list of awesome libraries, packages, strategies, books, blogs, tutorials for systematic trading.

bitcoin_volatility_forecasting

GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management

collective.usermanual

credit_collections_rl

cs456

deep-reinforcement-learning-gym

Deep reinforcement learning model implementation in Tensorflow + OpenAI gym

dx

DX Analytics

dynamic-credit-collections

This code implements the algorithm for optimal control of delinquent accounts placed in collections. It is based on the article published in Management Science, Dynamic Credit Collection.

elitequant

A list of online resources for quantitative modeling, trading, portfolio management

fin-525

Financial Big Data

gym

A toolkit for developing and comparing reinforcement learning algorithms.

gym_lab

hawkes

a python package for simulation and inference of Hawkes processes.

hiddenmarkovjumpprocess-rlenvironment

hurst-exponent-trading-strategy

majkee15.github.io

Personal Page

montecarlopricer

neurawkes

Source code of The Neural Hawkes Process

oop-graph-structure

OOP graph structure with DFS and BFS

order-execution-tests

Order execution strategies for delta neutral crypto trading on FTX

portfolio_dashboard

py-hawkes

Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawkes processes.

quant-jobs-zurich

A list of companies of possible interest for mathematicians (or related) that are looking for a job in quantitative finance in Zurich.

quantlib

The QuantLib C++ library

robust-estimation-of-hawkes-processes

robustsharperatiohac

This respository implements the code for the heteroskedasticity and autocorrelation consistent Sharpe ratio estimator from Ledoit & Wolf 2008 (Robust Performance Hypothesis Testing with the Sharpe Ratio )

s3quotes-trades-parsing

tensorflow

Computation using data flow graphs for scalable machine learning